Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0006
Annualized Std Dev 0.1949
Annualized Sharpe (Rf=0%) 0.0030

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1207
Quartile 1 -0.0046
Median 0.0007
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0057
Maximum 0.1056
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0123
Skewness -0.9225
Kurtosis 13.1529

Downside Risk

Close
Semi Deviation 0.0093
Gain Deviation 0.0082
Loss Deviation 0.0109
Downside Deviation (MAR=210%) 0.0139
Downside Deviation (Rf=0%) 0.0093
Downside Deviation (0%) 0.0093
Maximum Drawdown 0.7758
Historical VaR (95%) -0.0182
Historical ES (95%) -0.0318
Modified VaR (95%) -0.0199
Modified ES (95%) -0.0479
From Trough To Depth Length To Trough Recovery
2000-09-06 2009-03-09 NA -0.7758 5167 2137 NA
2000-04-03 2000-05-25 2000-07-07 -0.1020 67 38 29
1999-11-18 1999-12-01 1999-12-27 -0.0777 26 9 17
1999-07-19 1999-08-10 1999-11-04 -0.0685 78 17 61
1999-01-07 1999-02-10 1999-03-16 -0.0524 47 24 23

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 1 0.7 -2 0.4 0.2 -1.1 0.2 -0.2 0.8 -1.8 0.8 -1
2000 0.6 0.2 1 1.1 2.7 1.5 -0.2 0.5 -1.1 -1.2 0.9 0 6
2001 -0.8 -0.9 0.8 1.1 -0.1 0.9 0.5 1.4 -0.7 1.7 -0.2 -0.4 3.3
2002 -0.4 2.1 0.1 0.5 0.7 -0.9 -1.8 0.2 3.9 1.1 -0.8 1.1 5.9
2003 1.2 0.2 0.5 0.1 1.6 0.1 -1.3 0.5 1.4 0.7 0.7 0.1 6
2004 0.1 0.7 0.5 -0.2 0.2 -0.7 0.2 1.1 1.7 0.1 0.7 0.2 4.6
2005 1.2 1.5 -0.8 0.6 1.2 0.1 -0.2 0.8 0 -0.1 0.9 -0.5 4.9
2006 -0.2 0.6 -0.2 0.1 1.3 -0.2 -0.5 0.4 0 -0.4 -0.6 -0.4 -0.1
2007 0.4 -0.1 -0.1 0 0.2 0 0.4 -2.3 1.4 -2.7 0.8 2.8 0.7
2008 0.5 -4.3 3.4 1.6 0.1 -0.1 -0.1 -0.6 -0.3 0.1 -7.6 1.9 -5.6
2009 -2.7 -1.8 -0.4 -0.6 2.6 1 0.3 -1.7 -2.4 -2.8 1.2 -0.4 -7.6
2010 1.2 1.2 0.7 -1.4 -1.1 -0.6 -0.1 2.6 0.6 -0.3 1.6 0.2 4.7
2011 1.8 -1.1 0.3 0.4 -1.6 1.3 -0.1 -0.3 -2.1 -2.8 0.5 0.1 -3.7
2012 0.8 0.7 0.6 0.4 -2.3 2 -0.5 0.8 0.1 1.3 0.1 1 5
2013 1.2 0.4 0.1 -1.3 -0.7 0.2 0.9 -0.2 0.7 0.2 0.2 0.1 1.7
2014 -0.6 0.5 0.5 -0.2 0 0.8 -0.5 0.2 -1.2 1.1 -0.8 -0.7 -0.8
2015 -1.1 -0.4 -0.9 0.7 0.6 0.6 1.4 -1.8 -0.8 -0.1 0.6 -0.9 -2.1
2016 0.1 1.6 0.4 -0.6 0.3 0.4 0 -0.1 1.2 -0.6 0 -0.5 2.1
2017 0.3 1.5 -0.1 0.4 0.5 0.1 0.2 0.3 0.4 0.1 -0.1 -0.3 3.4
2018 -0.1 -1.2 1.2 0.1 1.2 0.4 0 -0.1 -0.1 1.2 0.4 0.6 3.7
2019 0.2 0.6 1.1 -0.1 -1 0.6 -0.8 0.3 -1.1 0.5 -0.1 0 0.2
2020 -1.3 -2.4 -5.5 -2.5 0.5 0.6 0 0.8 0.4 -1.5 1.4 0.5 -8.8
2021 1.4 1.9 0.3 NA NA NA NA NA NA NA NA NA 3.7

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Price Chart

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Rolling Performance Chart

Row

Snail Trail Chart